Real interest parity decomposition
Autor(a) principal: | |
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Data de Publicação: | 2009 |
Outros Autores: | |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Estudos Econômicos (São Paulo) |
Texto Completo: | https://www.revistas.usp.br/ee/article/view/35980 |
Resumo: | The aim of this paper is to investigate the general causes of real interest rate differentials (rids) for a sample of emerging markets for the period of January 1996 to August 2007. To this end, two methods are applied. The first consists of breaking the variance of rids down into relative purchasing power pariety and uncovered interest rate parity and shows that inflation differentials are the main source of rids variation; while the second method breaks down the rids and nominal interest rate differentials (nids) into nominal and real shocks. Bivariate autoregressive models are estimated under particular identification conditions, having been adequately treated for the identified structural breaks. Impulse response functions and error variance decomposition result in real shocks as being the likely cause of rids. |
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Estudos Econômicos (São Paulo) |
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Real interest parity decomposition diferencial de juros reaispaíses emergentesquebras estruturaisdecomposição da variância dos erros de previsãoreal interest rate differentialsemerging marketsstructural breaksbreakdown of prediction errors variance The aim of this paper is to investigate the general causes of real interest rate differentials (rids) for a sample of emerging markets for the period of January 1996 to August 2007. To this end, two methods are applied. The first consists of breaking the variance of rids down into relative purchasing power pariety and uncovered interest rate parity and shows that inflation differentials are the main source of rids variation; while the second method breaks down the rids and nominal interest rate differentials (nids) into nominal and real shocks. Bivariate autoregressive models are estimated under particular identification conditions, having been adequately treated for the identified structural breaks. Impulse response functions and error variance decomposition result in real shocks as being the likely cause of rids. O objetivo deste artigo é investigar as causas gerais dos diferenciais da taxa de juros real (rids) para um conjunto de países emergentes, para o período de janeiro de 1996 a agosto de 2007. Para tanto, duas metodologias são aplicadas. A primeira consiste em decompor a variância dos rids entre a paridade do poder de compra relativa e a paridade de juros a descoberto e mostra que os diferenciais de inflação são a fonte predominante da variabilidade dos rids; a segunda decompõe os rids e os diferenciais de juros nominais (nids) em choques nominais e reais. Sob certas condições de identificação, modelos autorregressivos bivariados são estimados com tratamento adequado para as quebras estruturais identificadas e as funções de resposta ao impulso e a decomposição da variância dos erros de previsão são obtidas, resultando em evidências favoráveis a que os choques reais são a causa mais provável dos rids. Universidade de São Paulo. Faculdade de Economia, Administração e Contabilidade2009-09-30info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionapplication/pdfhttps://www.revistas.usp.br/ee/article/view/3598010.1590/S0101-41612009000300002Estudos Econômicos (São Paulo); v. 39 n. 3 (2009); 489-512 1980-53570101-4161reponame:Estudos Econômicos (São Paulo)instname:Universidade de São Paulo (USP)instacron:USPenghttps://www.revistas.usp.br/ee/article/view/35980/38697Copyright (c) 2009 Alex Luiz Ferreira, Roseli da Silva http://creativecommons.org/licenses/by-nc/4.0info:eu-repo/semantics/openAccessFerreira, Alex LuizSilva, Roseli da2020-12-21T12:37:00Zoai:revistas.usp.br:article/35980Revistahttps://www.revistas.usp.br/eePUBhttps://www.revistas.usp.br/ee/oaiestudoseconomicos@usp.br||aldrighi@usp.br1980-53570101-4161opendoar:2020-12-21T12:37Estudos Econômicos (São Paulo) - Universidade de São Paulo (USP)false |
dc.title.none.fl_str_mv |
Real interest parity decomposition |
title |
Real interest parity decomposition |
spellingShingle |
Real interest parity decomposition Ferreira, Alex Luiz diferencial de juros reais países emergentes quebras estruturais decomposição da variância dos erros de previsão real interest rate differentials emerging markets structural breaks breakdown of prediction errors variance |
title_short |
Real interest parity decomposition |
title_full |
Real interest parity decomposition |
title_fullStr |
Real interest parity decomposition |
title_full_unstemmed |
Real interest parity decomposition |
title_sort |
Real interest parity decomposition |
author |
Ferreira, Alex Luiz |
author_facet |
Ferreira, Alex Luiz Silva, Roseli da |
author_role |
author |
author2 |
Silva, Roseli da |
author2_role |
author |
dc.contributor.author.fl_str_mv |
Ferreira, Alex Luiz Silva, Roseli da |
dc.subject.por.fl_str_mv |
diferencial de juros reais países emergentes quebras estruturais decomposição da variância dos erros de previsão real interest rate differentials emerging markets structural breaks breakdown of prediction errors variance |
topic |
diferencial de juros reais países emergentes quebras estruturais decomposição da variância dos erros de previsão real interest rate differentials emerging markets structural breaks breakdown of prediction errors variance |
description |
The aim of this paper is to investigate the general causes of real interest rate differentials (rids) for a sample of emerging markets for the period of January 1996 to August 2007. To this end, two methods are applied. The first consists of breaking the variance of rids down into relative purchasing power pariety and uncovered interest rate parity and shows that inflation differentials are the main source of rids variation; while the second method breaks down the rids and nominal interest rate differentials (nids) into nominal and real shocks. Bivariate autoregressive models are estimated under particular identification conditions, having been adequately treated for the identified structural breaks. Impulse response functions and error variance decomposition result in real shocks as being the likely cause of rids. |
publishDate |
2009 |
dc.date.none.fl_str_mv |
2009-09-30 |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article info:eu-repo/semantics/publishedVersion |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
https://www.revistas.usp.br/ee/article/view/35980 10.1590/S0101-41612009000300002 |
url |
https://www.revistas.usp.br/ee/article/view/35980 |
identifier_str_mv |
10.1590/S0101-41612009000300002 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.none.fl_str_mv |
https://www.revistas.usp.br/ee/article/view/35980/38697 |
dc.rights.driver.fl_str_mv |
Copyright (c) 2009 Alex Luiz Ferreira, Roseli da Silva http://creativecommons.org/licenses/by-nc/4.0 info:eu-repo/semantics/openAccess |
rights_invalid_str_mv |
Copyright (c) 2009 Alex Luiz Ferreira, Roseli da Silva http://creativecommons.org/licenses/by-nc/4.0 |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf |
dc.publisher.none.fl_str_mv |
Universidade de São Paulo. Faculdade de Economia, Administração e Contabilidade |
publisher.none.fl_str_mv |
Universidade de São Paulo. Faculdade de Economia, Administração e Contabilidade |
dc.source.none.fl_str_mv |
Estudos Econômicos (São Paulo); v. 39 n. 3 (2009); 489-512 1980-5357 0101-4161 reponame:Estudos Econômicos (São Paulo) instname:Universidade de São Paulo (USP) instacron:USP |
instname_str |
Universidade de São Paulo (USP) |
instacron_str |
USP |
institution |
USP |
reponame_str |
Estudos Econômicos (São Paulo) |
collection |
Estudos Econômicos (São Paulo) |
repository.name.fl_str_mv |
Estudos Econômicos (São Paulo) - Universidade de São Paulo (USP) |
repository.mail.fl_str_mv |
estudoseconomicos@usp.br||aldrighi@usp.br |
_version_ |
1787713828536975360 |